The answer was there all along: Worry about the dynamics!
Kagalwala and Whitten

1. Please download the parallel module for Stata for parallel computing: https://github.com/gvegayon/parallel

2. For the following folders:

Please run *DGP-*SIMS.do for the Monte Carlo analysis and *DGP-*Plots.R to generate the figures. For *DGP-*SIMS.do make sure to adjust the number of seeds based on the number of cores you are using for parallel computing and also set the number of cores using "parallel setclusters #" in *DGP-*DGP.do.

3. Figures 1-7 in the manuscript and figures 1&2 in the appendix, along with additional figures begin with "UnitRoot_Independent". F-test figures are also produced which correspond to the information in table 2 in the appendix. (Associated code and plots begin with "UnitRoot_Independent".)

4. The code to produce Fiugre 8 in the manuscript are WLL-ADL-DGP.do, WLL-ADL-SIMS.do, WLL-Coverage-DGP.do, WLL-Coverage-Sims.do, WLL-Plots.R.

5. Appendix D.1: Associated code and plots begin with "Stationary_Independent."

6. Appendix D.2: Associated code and plots begin with "Stationary_UnitRoot."

7. Appendix D.3: Associated code and plots begin with  "UnitRoot_Stationary."

8. Appendix D.4: Associated code and plots begin with "GECM."

9. Appendix D.5: Associated code and plots begin with "ADL."

10. Appendix D.6: Associated code and plots begin with "URDV-MixIV."

11. Appendix D.7: Associated code and plots begin with "URDV-URIV."

12. Appendix D.8: Associated code and plots begin with "URDV-STIV."

13. Appendix D.9: Associated code and plots begin with "STDV-MixIV."

14. Appendix D.10: Associated code and plots begin with "STDV-URIVs"

15. Appendix D.11: Associated code and plots begin with "STDV-STIVs"

16. Appendix D.12: Associated code and plots begin with "ADL-MP."

17. Appendix D.13: Associated code and plots begin with "GECM-MP."

For the code referred to in bullet points 10-15, researchers may view the results of the time period length of interest by loading the dataset and typing "keep if time == #" where # is the number of time periods.

For the code referred to in bullet points 16-17, researchers may view the results of the time period length of interest by loading the dataset and typing "keep if t == #" where # is the number of time periods.

18. The code to produce Table 3 in Appendix F (and the discussion surrounding it) is "WLL-Replication.do"